Mutual information model selection algorithm for time series

DOI10.1080/02664763.2019.1707516OpenAlexW3000588927WikidataQ126410336 ScholiaQ126410336MaRDI QIDQ5037010FDOQ5037010

Authors: Elif Akça, Ceylan Yozgatligil 

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1707516

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• scientific article; zbMATH DE number 3864336
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE

zbMATH Keywords

mutual informationorder selectionBox-Jenkins models

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• Some Notes on Mutual Information Between Past and Future
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
• Generalised partial autocorrelations and the mutual information between past and future

Cited In (4)

• Title not available (Why is that?)
• Model selection for dynamical systems via sparse regression and information criteria
• Time series model selection and forecasting via optimal penalty estimation
• Model term selection for spatio-temporal system identification using mutual information

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